Update to 5.1.1, it doesn't update the baseband and it can be jailbroken using Absinthe or the most recent public redsn0w. From there, you can find ways to change the APN that way. Be it with CommCenterClassic patches or other tools. You don't have to unlock to do this.

The other way is to use a signed mobileconfig file (best to use iPhone Configuration Utility and make one yourself with the correct APN input) and install it into your phone. That should work for stock iOS firmwares, presumably including the upcoming iOS6, and jailbroken setups.